Aspects of the present invention relate to computerized devices, systems and/or methods for monitoring, performing and/or determining risk for multi-leg transactions.
Most financial instruments are traded on an exchange by brokers/traders via electronic trading terminals of an electronic trading system. The terminals typically receive large amounts of data for one or more markets and financial instruments of particular interest to a trader on a substantially real-time basis. When trading a single instrument (a single-leg trade) the trader typically monitors the frequency with which this instrument is trading, the direction of price movement and potentially the depth-of-market if available. As a result the trader will have a good level of confidence in achieving a desired trade at a particular price and volume.
In a multi-leg trading scenario, the trader may create a synthetic instrument to improve trading efficiency. In this scenario the synthetic instrument provides the trader with a calculated best bid and offer price for a given volume and the ability to execute all legs of the synthetic with a single instruction. However, the ability to monitor the frequency of trading, direction of price movement and depth of market for each of the underlying legs becomes more challenging. The trader has no guarantee that the system will achieve execution on all underlying legs or at the expected price. Multi-leg trades therefore have greater risk than single-leg trades, and this risk increases if one or more legs are in less liquid markets.